Abstract
This paper studies an optimal control problem for partially observed forward-backward stochastic control system with a convex control domain and the forward diffusion term containing control variable. A maximum principle is proved for this kind of partially observable optimal control problems and the corresponding adjoint processes are characterized by the solutions of certain forward-backward stochastic differential equations in finite-dimensional spaces. One partially observed recursive linear-quadratic (LQ) optimal control example is also given to show the application of the obtained maximum principle. An explicit observable optimal control is obtained in this example.
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Wu, Z. A maximum principle for partially observed optimal control of forward-backward stochastic control systems. Sci. China Inf. Sci. 53, 2205–2214 (2010). https://doi.org/10.1007/s11432-010-4094-6
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DOI: https://doi.org/10.1007/s11432-010-4094-6